Credit Risk Model Lead: AIRB & IFRS9, Mortgages & Consumer

ING Italia; Lombardia; Hybrid; EUR 51,000 - 63,000; Full time

Benefits offered by this job

Flexible Smart Working

Meal vouchers

Health insurance

Pension fund

Diversity & Inclusion

Training opportunities

Birthday day off

Job summary

ING Italia is seeking a skilled model development professional to design, implement, and monitor AIRB and IFRS9 models for Mortgage and Consumer Lending portfolios in Milan. You will coordinate across validation, audit, ECB, and senior management to ensure regulatory compliance and robust risk parameter estimation.

The role emphasizes end-to-end model lifecycle, from development to deployment, with strong data management and cross-functional collaboration.

Qualifications

• Strong experience in credit risk modelling within banking environments.
• Proven experience in AIRB and/or IFRS9 methodologies, including PD, LGD and EAD modelling.
• Good understanding of ECB and EBA requirements related to IRB and IFRS9 frameworks.
• Experience interacting with Validation, Internal Audit and regulators and senior management is a strong advantage.
• Knowledge of Mortgage and Consumer Lending portfolios is preferred.

Responsibilities

• Lead the development, maintenance and monitoring of AIRB and IFRS9 models covering Mortgage and Consumer Lending portfolios.
• Develop and maintain PD, LGD and EAD models for Mortgage portfolios under the AIRB framework, as well as IFRS9 risk parameter models for Mortgages and Consumer Lending portfolios.
• Ensure compliance with ECB, EBA and Group model risk management requirements, supporting model approvals, annual reviews, remediation plans and regulatory inspections.
• Monitor model performance through periodic backtesting and implement corrective actions when necessary.
• Define and execute action plans to address validation findings and regulatory feedback.
• Support implementation and production deployment, including test strategy definition, result verification, and corrective measures.
• Collaborate with internal and external assessment teams (Internal Validation, Audit, ECB) ensuring timely adoption of recommendations.
• Conduct ad-hoc qualitative and quantitative analyses, including impact assessments and sensitivity analyses for forecasting, new product introduction, pricing, and model changes.
• Perform portfolio monitoring with a focus on risk parameter evolution.
• Prepare reports for Senior Management on model performance and corrective actions.
• Ensure integration of models into business processes and promote knowledge sharing across the organization.
• Act as a change agent, fostering awareness and adoption of advanced risk modeling practices.

Skills

Credit risk modelling

AIRB/IFRS9 modelling

PD/LGD/EAD modelling

ECB/EBA knowledge

Regulatory interactions

Data management

SAS

Python/MATLAB

Stakeholder collaboration

Tools

SAS

Python

MATLAB

Job description

ING Italia is seeking a skilled model development professional to design, implement, and monitor AIRB and IFRS9 models for Mortgage and Consumer Lending portfolios in Milan. You will coordinate across validation, audit, ECB, and senior management to ensure regulatory compliance and robust risk parameter estimation.

The role emphasizes end-to-end model lifecycle, from development to deployment, with strong data management and cross-functional collaboration.